Looking for People with Model Development/Validation of Market Risk Model / Var Model

Job Description :

- Strong knowledge of mathematical concepts related to pricing derivatives

- Risk management knowledge in at least one area such as market risk (VaR, PFE, Expected Shortfall etc.) and/or counterparty credit risk

- Regulatory knowledge/experience in areas such as Basel, CCAR, FRTB

- Programming knowledge in Python, R or C++

- Prior modelling background, including experience in model development and/or model validation of derivative pricing models and tools, in-house or third party valuation software and corresponding risk management models

- Strong problem solving and solution development skills

- Prior experience in team handling and project management

- Good to have Certifications such as FRM, CQF etc

What are the top 3-5 key points for Market Risk :

- Working knowledge of VaR, PFE, Expected Shortfall etc

- Strong mathematical knowledge for pricing derivatives

- Regulatory knowledge in areas such as Basel, CCAR, FRTB

- Python, R or C++ programming knowledge

- Project management/client handling experience